QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | Functions
sabr.cpp File Reference
#include <ql/termstructures/volatility/sabr.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/functional.hpp>
#include <ql/errors.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib
 

Functions

Real unsafeSabrLogNormalVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
 
Real unsafeShiftedSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType)
 
Real unsafeSabrNormalVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
 
Real unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType)
 
void validateSabrParameters (Real alpha, Real beta, Real nu, Real rho)
 
Real sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType)
 
Real shiftedSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType)
 
Real sabrFlochKennedyVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
 

Variable Documentation

◆ F

Real F

Definition at line 200 of file sabr.cpp.

◆ alpha

Real alpha

Definition at line 200 of file sabr.cpp.

◆ beta

Real beta
Examples
MarketModels.cpp.

Definition at line 200 of file sabr.cpp.

◆ nu

Real nu

Definition at line 200 of file sabr.cpp.

◆ rho

Real rho

Definition at line 200 of file sabr.cpp.

◆ t

Real t

Definition at line 200 of file sabr.cpp.